All VXX Long Only

P&L Summary

Range Return Sharpe Win% Ave Ave+ Ave- Max- Underwater Days %
20 (2) 100 0 (15) 0 (15) (15) 0 5
60 2 10.1 75 13 23 (15) (15) 0 7
120 1 9.2 67 11 23 (12) (15) 0 5
250 4 3.5 59 17 60 (44) (190) (2) 9
500 8 5.7 64 27 67 (44) (190) (2) 12
760 8 5.3 61 24 66 (40) (190) (2) 12
1260 6 4.9 65 19 51 (37) (190) (2) 12
2520 6 5.6 64 21 52 (33) (190) (2) 11
All 7 5.6 64 21 52 (33) (190) (2) 13

P&L Month Table

Year 1 2 3 4 5 6 7 8 9 10 11 12 R Sharpe Win% Trades MaxLoss UW Max Ave
Avg 0.7 0.5 0.2 0.2 0.2 1.1 0.2 0.7 1 (0.2) 0.4 1 6.1 4.7 65.1 33.8 (1.5) (1.8) 0.6 0.4
2017 0 0.3 0.1 0.1 0 0 0 0 0 0 0 0 0.5 10.1 75 5 (0.2) (0.2) 0.4 0.4
2016 1.1 0.6 0 0.1 0.6 0.6 0 (0.1) 2.5 0.6 (0.4) 0.2 5.8 4.2 56.7 31 (1.9) (1.9) 0.4 0.4
2015 1 0 0 0.4 0 2 1 2.6 1.7 (1.5) 2.5 1.9 11.6 5.9 60 41 (1.6) (2.4) 0.8 0.4
2014 1.5 1.1 0.9 0.3 0 (0.3) 1 0.7 0.7 (0.2) (0.2) 3.3 8.8 7.5 67.7 33 (1.6) (2.1) 0.8 0.4
2013 0 0.2 (0.1) 0 0.1 2.7 0 0.3 0.3 0.1 (0.3) 0.8 4.1 5.8 72.7 38 (0.7) (1) 0.4 0.4
2012 (0.1) 0.5 0.2 0.1 0.2 0.5 (0.9) 0.1 (0.1) 0.1 0.6 (1.1) 0.1 0.1 68.2 26 (1.8) (1.8) 0.8 0.4
2011 0.6 (0.4) 1.1 0.1 (0.2) 0.3 0 7.8 2.5 2.1 1.4 0.4 15.7 8.9 75.6 46 (0.7) (0.7) 0.8 0.4
2010 1 (1.2) (0.2) 1.1 2.4 2.9 0.2 0.5 0 (0.1) 1.6 (0.1) 8.1 8.5 63.3 32 (0.8) (1.4) 0.8 0.4
2009 0 0 2.6 0 (0.2) (0.5) 0.3 (0.7) (0.7) 3.2 (0.4) 0.2 3.8 2.7 45.7 36 (0.6) (2.4) 0.8 0.4